of the behavior of corporatebonds). The reference rate of return for medium termcorporate ... of return on the sovereignbond starts rising steeply, while that of corporatebonds ... a reference rate for long

In Figure 14 a similar procedure was followed to define a reference rate for longtermcorporatebonds. However, in this case there are usually ... so this longterm reference rate is even less representative than the medium term ... Apr-98 Jul-98 Oct-98 Jan-99 Apr-99 Jul-99 Oct-99 Jan-00 Apr-00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Longterm FRB Source: based on Hechos, MAE, April 1998-December 2001.

Expected returns per asset class are based on the assumption that asset valuations tend to return to their respective long-term equilibria. The Expected Return on Assets for any funded plan equals the average of the expected returns per asset class ...rate increases by 1% from the level of December 31, 2009, with all other variables ... If the discount rate decreases by 1% from the level of December 31, 2009, with all other

– the extra yield investors demand to hold a corporatebond rather than a similar duration ... an allocation to corporatebonds in portfolios because it is one of the few areas within ... Figure 6: Corporatebond yields Both investment grade and high yield corporate

26 June 2012 28 June 2011 27 December 2011 Expected return Expected return Expected return value value value £m £m £m Equities CorporateBonds Gilts and Cash Total market value of assets Present value of scheme liabilities Deficit in scheme (299 ... In accordance with the accounting standard, the discount rate has been ... income investments at a term consistent with the expected duration of the liabilities

and dividends comprise the lion’s share of long-term asset-class returns, let’s examine ... on the economic and market environment, but the growth rate tends to revert back to a long ... a bullish ﬁgure because today’s current yield is virtually half of the long-term 4

between 1 year and 2.5 years, we may expect the term structure of credit spreads to be upward ... of 100%, we can see that a larger proportion of banks than sovereigns can expect ... Table 1: LGD = 45%, maturity = 2.5 years, EAD = 100%, current risk weight 100% Risk weight (%) Change in cost of funding (bp) Rating PD (%) AAA 14.8* 14.8* AA A BBB BB B CCC Except for sovereign exposures, the minimum estimated PD permitted

between 1 year and 2.5 years, we may expect the term structure of credit spreads to be upward ... of 100%, we can see that a larger proportion of banks than sovereigns can expect ... Table 1: LGD = 45%, maturity = 2.5 years, EAD = 100%, current risk weight 100% Risk weight (%) Change in cost of funding (bp) Rating PD (%) AAA 14.8* 14.8* AA A BBB BB B CCC Except for sovereign exposures, the minimum estimated PD permitted

increase rate Expected long-termrate of return on funds for the pension expense of the year The discount rate was determined by comparison against long-termcorporate ... the expected long-termrate of return on assets, the Company modelled the expected long ... The Company and its subsidiaries have a number of defined benefit pension plans, mainly unfunded, and other long-term employees' benefits covering employees